Testing serial correlation in fixed effects regression models based on asymptotically unbiased autocorrelation estimators

DOI10.1016/J.MATCOM.2008.08.006zbMATH Open1171.62052OpenAlexW1988204765MaRDI QIDQ834320FDOQ834320

Ryo Okui

Publication date: 19 August 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.08.006

zbMATH Keywords

panel datadouble asymptoticstesting serial correlation

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Linear Regression Limit Theory for Nonstationary Panel Data
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• How Much Should We Trust Differences-In-Differences Estimates?
• On a measure of lack of fit in time series models
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Income Variance Dynamics and Heterogeneity
• Serial Correlation and the Fixed Effects Model
• Testing AR(1) against MA(1) disturbances in an error component model
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS
• UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES
• Testing model adequacy for dynamic panel data with intercorrelation
• Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models
• Tests for the error component model in the presence of local misspecification

Cited In (7)

• Nonparametric dynamic panel data models: kernel estimation and specification testing
• Testing for Trend Specifications in Panel Data Models
• Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects
• Testing for serial independence of panel errors
• Title not available (Why is that?)
• ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA
• Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends

Uses Software

• Stata
• Ox
• xtserial

Recommendations

• Title not available (Why is that?) 👍 👎
• A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS 👍 👎
• Testing for heteroskedasticity and serial correlation in a random effects panel data model 👍 👎
• Testing Serial Correlation in Partially Linear Single-Index Errors-in-Variables Models 👍 👎
• Testing Serial Correlation in Partial Linear Errors-in-Variables Models Based on Empirical Likelihood 👍 👎
• Testing for Serial Correlation in Fixed-Effects Panel Data Models 👍 👎
• Testing error serial correlation in fixed effects nonparametric panel data models 👍 👎
• Testing serial correlations in semiparametric time-varying coefficient models 👍 👎
• Testing for serial correlation in the presence of dynamic heteroscedasticity 👍 👎

This page was built for publication: Testing serial correlation in fixed effects regression models based on asymptotically unbiased autocorrelation estimators

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q834320)